Event Date:
Monday, January 4, 2016 - 3:30pm to 5:00pm
Event Date Details:
Refreshments served at 3:15 p.m
Event Location:
- South Hall 5607F
Ibrahim Ekren — ETH Zurich
Title: Viscosity Solutions for Path-dependent PDEs
Abstract: In this talk, we define derivatives of functionals on the space of continuous paths and give an introduction to path-dependent partial differential equations (PPDEs). Since the space of continuous paths is not locally compact, we cannot rely on the theory of viscosity solutions for PDEs and need to develop a new approach. We focus on the path-dependent heat equation and link it to a control problem. We will also mention new developments, challenges and applications in this field. This talk is based on joint works with Christian Keller, Nizar Touzi and Jianfeng Zhang.
May 3, 2017 - 2:11pm